Click the 'Browse for a folder...' button in the source box, and navigate to the folder where you saved the files.

When you have chosen the folder you require you can use the Calculator button to see if it will fit on the disc.

At this point go to the 'Options' tab, and ensure ISO9660 + UDF is selected in the 'File System' drop down box. You should also configure the other options as you see them here in the screenshot.

Next choose the 'Labels' tab and enter a nice name for your movie in both fields. This will be the 'volume label' of the disc once you've burnt it - it's what will be visible in 'My Computer' when you put the disc in your DVD drive.

Now you need to enter the file name for your image file in the 'Destination' box. In this example, we use 'I:\DVD ISO\STAR_WARS_EPISODE_IV.iso'. You can enter it manually or click the 'Browse for a file...' button.

When you've done that, press the Build Button. (Highlighted in the red box)

You will then see the screen below:

Press 'OK' and ImgBurn will start building your ISO.

Then just wait a few minutes (system dependent) and your ISO and MDS (NB: MDS file is now optional for single layer discs) will be ready.